ERP：衡量股票是否值得投资的最佳指标

    近日来，投资者们被市场搞的普遍有些神经过敏。

    9月22日以来，道琼斯指数已有3天的下跌幅度超过100点。阿里巴巴（Alibaba）巨型IPO横空出世，以及这家中国电子商务公司的惊人估值，引发市场或已触顶的担忧。

    令人担忧的是，乏善可陈的基本面似乎远远无法支撑股市对未来的爆棚信心。我们正生活在一个创纪录的企业估值与平庸的利润增长并存的世界之中。

    为了获得对现实状况的最准确认知，不妨关注一个能告诉我们股票何时值得买进、何时被高估的指标：股票风险溢价（ERP）。它被誉为企业融资圣杯。这名称或许听起来不那么有吸引力，但要想在股市中长期赚钱，这是你能找到的最实用的衡量指标。

    股票风险溢价是投资者选择投资股票而不投资债券，因承担这份额外风险而要求获得的额外回报。ERP越高，潜在的未来回报也越大。例如，在2009年市场恐慌时期，风险溢价激增，那时买进股票的人获利颇丰。相比之下，当股票风险溢价低于平均值，未来几年的股票投资收益可能非常微薄，甚或根本不存在。

    但当前具有迷惑性的是，真实可持续的股票风险溢价被暂时的、不可持续的低利率所掩盖。但要从这些虚幻的官方数据中挖掘出经调整后真实的股票风险溢价，也并非难事。我们将会看到，这一调整后的数据已发出了警报。

    股票风险溢价就是股票预期回报减去10年期美国国债经通胀调整后的收益率，这是你勇敢投资股票而期待获得的额外容错余量或空间。最佳的预期回报指标是经济学家罗伯特•席勒创造的经周期性调整的市盈率（CAPE）收益率。CAPE是最可信的回报衡量指标，它对可能高度误导性的暂时利润波动进行了调整。当前，基于CAPE的收益与股价比率为3.8%。倒过来计算的席勒市盈率为26.3倍。

    因此，当前经通胀调整后的预期股票回报为3.8%。第二步是减去10年期美国国债的实际收益率，从而获得股票风险溢价。这一长期国债的收益率目前约为2.5%，而通胀为2%左右。因此，实际收益率仅为0.5%。

    由此得出，股票风险溢价为3.8%的预期回报减去0.5%，即3.3%。从历史标准来看，这个数据还不错。这对于看涨的人士，即便是那些负责任的看涨人士也是一个令人鼓舞的信号。他们会说，3.8%的预期回报加上2%的通胀，总计达到5.8%，还不够好吗，看看10年期美国国债的收益率。那么，为何不买进股票？

    即便是那些乐观人士也承认利率需要上升。当今，低得令人难以置信的0.5%实际收益率造成了一种幻像，令股票风险溢价虚高。事情总归会回复常态，想想一旦美联储放宽利率，让利率回归历史常态，结果会怎样？假以时日，实际利率将徘徊在2%附近区间。实际利率从当前的0.5%升至2%，推动10年期美国国债收益率升至4%（即2%的实际收益率加上2%的未来通胀溢价），将会发生什么?

    现在，我们可以重新计算股票风险溢价，剔除人为低利率产生的放大效应。3.8%的预期回报减去未来合理的实际利率2%，得出不那么诱人的股票风险溢价：区区1.8%而已。

    这不足以证明投资股票是明智的。假设投资者仍旧要求较债券有3.3%的息差，以达到他们当前预期获得的收益。那么，他们将要求获得的未来回报不是5.8%，而是7.3%（即2%的实际利率加上3.3%的股票风险溢价和2%的通胀。）

    要让股票风险溢价恢复到有吸引力的水平，需要公司估值大幅下降。席勒市盈率比需要从26.3降至18.9，造成股价大降28%。标准普尔指数在1,425点左右将再度变得有吸引力。关注股票风险溢价，关乎投资中最重要的事情：确保你的风险获得良好回报。因此，敬请密切跟踪所有市场指标之王——股票风险溢价。（财富中文网）

    译者：早稻米

    Investors have come down with a case of the jitters, and for a good reason.

    Since September 22, the Dow has careened through three days of 100 point-plus losses. The gigantic pop in the Alibaba IPO and the Chinese e-commerce phenomenon’s epic valuation have begun to stir fears that we’ve hit a market peak.

    What’s worrying is that prices are displaying far greater faith in the future than the unimpressive fundamentals suggest is warranted. We’re living in a world of record-high corporate valuations and mediocre earnings growth.

    To get the most accurate picture of the situation, let’s examine a metric that tells you when stocks are really a buy, and when they’re overly pricey. It’s called the Equity Risk Premium, or ERP, and it’s been lauded as the Holy Grail of corporate finance. The name may sound wonky, but for making money in stocks in the long-term, it’s the most practical measurement you’ll ever find.

    The Equity Risk Premium is the extra return that investors demand for taking the additional risk of choosing stocks over far safer Treasury bonds. The higher the ERP, the bigger the potential future returns. Risk premiums ballooned, for example, in the panic of 2009, and folks who bought then profited handsomely. By contrast, when the ERP is below average, gains on equities tend to be weak or non-existent in the years to come.

    What’s misleading is that the real, sustainable ERP has been disguised by a temporary phenomenon: unsustainably low interest rates. But it’s no great challenge to unmask an adjusted, realistic ERP from the illusory, official one. And as we’ll see, that slender figure is cause for alarm.

    The ERP is simply the expected return on equities minus the inflation-adjusted yield on 10-year treasuries—that’s the extra cushion, or margin for error, you’d expect for braving equities. The best measure of the expected return is the earnings yield on the CAPE, or Cyclically Adjusted Price-Earnings Ratio, developed by economist Robert Shiller. The CAPE is the most reliable yardstick for returns since it adjusts for temporary, highly misleading swings in profits. Right now, the E/P (earnings to price ratio) on the CAPE stands at 3.8%. That’s the inverse of the Shiller price-to-earnings ratio of 26.3.

    So the expected return on stocks is now 3.8%, adjusted for inflation. The second step consists of subtracting the real rate on the 10-year Treasury to get the ERP. The long bond is now yielding around 2.5%, and inflation is running at around 2%. So the real yield is a mere 0.5%.

    Hence, the ERP is our 3.8% expected return minus 0.5%, or 3.3%. By historical standards, that’s a good figure. It’s an encouraging signal for the bulls, even the responsible ones. They can argue that the expected return of 3.8% plus inflation of 2%, or 5.8% in total, isn’t great, but clocks the yields on the long bond. So why not buy stocks?

    Even the optimists, however, acknowledge that interest rates need to rise. Today, the incredibly low 0.5% real yield has created a mirage in the form of a superficially strong ERP. Things always go back to normal, so consider the results when the Fed unshackles interest rates and lets them swing back to their historic norms. Over time, real rates hover in the 2% range. What will happen when they rise from today’s level of 0.5% to 2%, bringing the yield on the 10-year Treasury bond to 4% (the total of the 2% real yield plus a 2% premium for future inflation)?

    Now, we can re-calculate the ERP to eliminate the funhouse mirror effect of artificially low interest rates. The expected return of 3.8%, minus the reasonable, future real rate of 2%, leaves an under-nourished ERP of just 1.8%.

    That’s not enough to justify investing in stocks. Let’s assume investors still demand a spread over bonds of 3.3 points, matching what they’re supposed to be getting today. Now they’ll require future returns not of 5.8%, but 7.3% (that’s the real rate of 2% plus the ERP of 3.3% plus inflation of 2%).

    Restoring the ERP to attractive levels will require a sharp drop in company valuations. The Shiller PE would need to fall from 26.3 to 18.9, causing stock prices to drop by 28%. The S&P would look alluring again at around 1,425. Watching the ERP is all about what really matters in investing: ensuring you are well paid for risk. So follow the sovereign of all market metrics.